README.md

In Abdoulhaki/MDSV: Multifractal Discrete Stochastic Volatility

An R package for estimating and forecasting financial data with MDSV model

The MDSV package implements the Multifractal Discrete Stochastic Volatility developed in Augustyniak, et al. (2021) for estimating and forecasting financial log-returns and realized variances (uniquely or jointly). It includes all functions for the replication of the results in Augustyniak, et al. (2021) and in my thesis. The exact replication codes are located in the folder test.

Installation

Requirements

• MDSV package needs R version 4.0.0 or later which can be installed on Windows. See CRAN for installation details.
• devtools package should be installed on R. If not already done, install devtools using the code install.packages("devtools").
• Rtools should be installed compatible with their R version.

How to install

MDSV package can be installed from this GitHub repos using the install_github function of the devtools package. All the dependencies will also be installed automatically.

library(devtools)
install_github("Abdoulhaki/MDSV")

The option build_vignettes = TRUE can be added if one desires to install the vignettes (this will take several minutes).

Load MDSV

Once the installation is done, MDSV can be loaded as a common package in R.

library(MDSV)

How to use MDSV

I provide a vignette that fully documents the package through simple and practical examples. Moreover, each function of the package has a help page accessible using ?name-of-the-function.

Abdoulhaki/MDSV documentation built on July 6, 2024, 4:03 p.m.